The Delivery Option on Forward Contracts
研究远期合约中的交割期权，在完美无摩擦市场假设下，通过连续调整的对冲策略证明该期权价值趋近于零。
Many futures contracts contain a delivery option, which allows the short position a choice to deliver one of several varieties of a commodity. Several authors have argued that deliv? ery options can have considerable value. For a forward contract with a delivery option, this paper shows that a continuously adjusted hedge will drive the value of the delivery option towards zero, assuming perfect and frictionless markets. tract the option to deliver one of several grades of a commodity on the delivery date. Recent papers by Garbade and Silber [3] and Gay and Manaster [4] have examined this delivery option and have suggested that this option reduces the futures price prior to the delivery date. This paper examines a perfect market, with continuous prices, with an infinite number of deliverable varieties, with ac? tive forward markets for all deliverable varieties, and without marking-to-market. Under these assumptions, the value of the delivery option is shown to ap? proach zero. The paper shows that a continuously adjusted hedge exists that guarantees this result. Therefore, the attachment of value to the delivery option